This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic …

parametric time series analysis with nonparametric local linear kernel regression. The evidence from the two seemingly competing … approaches (parametric versus nonparametric), complemented each other in this paper. However, the nonparametric model provided … growth from both the parametric and nonparametric models. …

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators … estimator and use them to define an optimal bandwidth for the purposes of index estimation. As a result we obtain a practically …

of these estimators to a full nonparametric specication with multiple regressors. In relation to the classic weak …

misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity. …

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m … estimators of m(x) and its derivatives. The convergence rate is the same as for an uncensored nonparametric regression and its … heteroscedasticity. We also extend the estimator to the nonparametric truncated regression model, in which only uncensored data points …

The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the … the derivatives of an uncensored nonparametric regression. We then estimate the regression function itself by solving the … usual estimators in uncensored nonparametric regression. We also provide root n estimates of weighted average derivatives of …

nonparametric treatment of regression errors is permitted so that it is not necessary to be explicit about the dynamic specification …

-known bootstrap residual process. In nonparametric testing literature, the dominant idea is that bandwidth utilized to produce … fast convergence rates for non-parametric estimators. Another advantage of additive models is that they allow attacking the … bootstrap sample should be bigger that bandwidth for estimating model under null hypothesis. However, there is no hint so far …